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Evolvement of uniformity and volatility in the stressed global financial village
Kenett, Dror Y.; Raddant, Matthias; Lux, Thomas; … - 2011
relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … interdependencies between these markets and the developing "eastern'' markets (India and China) are very volatile and with noticeable …
Persistent link: https://www.econbiz.de/10009354737
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Is contagion in the eye of the beholder?
Mink, Mark - 2009
Persistent link: https://www.econbiz.de/10003912800
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Coexceedance in the US and the UK Stock Markets : An Analysis of Contagion During the 2007-2009 Financial Crisis
Chevapatrakul, Thanaset - 2013
In this paper, we empirically analyze the effect of the credit crisis of 2008 by adopting coexceedance as a contagion measure. We assess the effect of news of governmental intervention and the collapse of firms during the period from 2007 to 2009 on the coexceedance. Our approach involves...
Persistent link: https://www.econbiz.de/10013087858
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The relationships between real estate price and expected financial asset risk and return : theory and empirical evidence
Fan, Gang-zhi; Huszár, Zsuzsa R.; Zhang, Weina - In: The journal of real estate finance and economics 46 (2013) 4, pp. 568-595
Persistent link: https://www.econbiz.de/10009750329
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Wann beginnt die Krise? : Ein Blick auf Finanzmarktrenditen
Locarek-Junge, Hermann; Straßberger, Mario; Wagner, … - In: Krisenkommunikation : 5. Dresdner Kolloquium an der …, (pp. 142-152). 2003
Persistent link: https://www.econbiz.de/10002063628
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Does correlation between stock returns really increase during turbulent periods?
Chesnay, François; Jondeau, Eric - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 1, pp. 53-80
Persistent link: https://www.econbiz.de/10001571084
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Banks, the IMF, and the Asian crisis
Kho, Bong-Chan; Stulz, René M. - In: Pacific-Basin finance journal 8 (2000) 2, pp. 177-216
Persistent link: https://www.econbiz.de/10001490435
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Does correlation between stock returns really increase during turbulent period?
Chesnay, François; Jondeau, Eric - 2000
Persistent link: https://www.econbiz.de/10001496182
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Banks, the IMF, and the Asian crises
Kho, Bong-Chan; Stulz, René M. - 1999
Persistent link: https://www.econbiz.de/10001411534
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Testing for financial spillovers in calm and turbulent periods
Aliyu, Shehu U. R.; Abdulsalam, Nafiu B.; Bawa, Sani - In: West African journal of monetary and economic integration 18 (2018) 2, pp. 1-27
It has been established in the literature that volatility of stock returns exhibits complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers during turbulent and calm periods. Hence, this paper seeks to analyze volatility spillover,...
Persistent link: https://www.econbiz.de/10013348418